First of all you'll need to download the FLA containing the images and gallery background. Once you've done that, open it up and go into the gallery MC, where you'll see the background on it's own layer and MC (Movieclip)

Step 2.

I the library you'll see the image and thumbnails in their own folder.

Step 3.

To initiate the image transition, we're going to use some thumbnails. Drag over the thumb-0 image from the library to a new layer called "thumbs", and Convert it to an MC called thumb0.

Step 4.

Add the rest of the thumbnails and convert them to MC's thumb1, thumb2 etc